PNC
Q3 2026 Earnings
Thu, Oct 15 · Before open
Expected move · ML forecast
±3.0%
$215.75 · $229.25 · via ML forecast
Earnings move
Market vs model vs history
Absolute move magnitude around $222.50 spot. Price ranges are symmetric references, not directional forecasts.
Options-implied
±5.2%
$211–$234
ATM straddle
Nightly model
±3.0%
$216–$229
P10–P90 0.7%–8.1%
Historical median
±2.3%
$217–$228
Last 4 earnings
Straddle exceedance ≈24%Options price 2.2 percentage points more movement than the model.IV rank 45%Light band P10–P90 · dark band P25–P75 · line P50Quantile interpolation · before spreads, fees, and post-event IV change
Historical
Event study · 8 events
Realized earnings reactions versus the option-implied range available before each event.
EPS beat 1/1
Observations
8
Median |move|
1.4%
Outside implied
0/8
Largest |move|
3.9%
EPS surprisevs sell-side consensus
Implied rangeRealized (up)Realized (down)Outside implied
Comparable history1543 events across 316 symbols · 0.57x median realized/implied · 25% outside implied
ATM IV
31.4%
Front-month · 16 DTE
IV-based expected move
±6.6%
31% annualized IV · 16 DTE
ATM Straddle
$11.65
Call + put · strike $222.50
IV Rank
45%
52w 18–37%
Term structure
Implied range across expiries
Spot × (1 ± EM) at each expiry. Hover an expiry for details.
3 expiries
Practical scenario
Earnings gap scenarios
One long ATM straddle held to expiry · before fees and IV repricing.
K $222.50 · paid $11.65
-1.5× EM
$583
-1× EM
$0
No move
-$1165
+1× EM
$0
+1.5× EM
$583
Move unit ±5.2% · spot $222.50Model midpoint ±3.0%Expiry payoff proxy, not a forecast.
ATM greeks
Greeks by expiry
ATM call · delta hedge ratios, sensitivity to vol and time.
| Expiry | DTE | ATM IV | Δ Delta | Γ Gamma | 𝜈 Vega | Θ Theta | Straddle |
|---|---|---|---|---|---|---|---|
Oct 16Earnings K $223 | 16d | 31.40% | 0.501 | 0.0273 | 0.19 | -0.18 | $11.65 |
Oct 30 K $220 | 30d | 27.87% | 0.552 | 0.0223 | 0.25 | -0.11 | $14.10 |
Nov 20 K $220 | 51d | 26.02% | 0.555 | 0.0180 | 0.33 | -0.08 | $17.14 |
Research snapshot
ValidatedEnd-of-day research
Options snapshotSep 30Frozen chain inputs
Earnings eventOct 15before open
Forecast modelT-21 modelInputs from Sep 24
Forecast checks13 controls0 exceptions · checked Oct 16
Research data · as of 2026-09-30Method: ML forecast